Some Improvements in Numerical Evaluation of Symmetric Stable Density and Its Derivatives
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Abstract: We propose improvements in numerical evaluation of symmetric stable density and its partial derivatives with respect to the parameters. They are useful for more reliable evaluation of maximum likelihood estimator and its standard error. Numerical values of the Fisher information matrix of symmetric stable distributions are also given. Our improvements consist of modification of the method of Nolan (1997) for the boundary cases, i.e., in the tail and mode of the densities and in the neighborhood of the Cauchy and the normal distributions.
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Cited in
(22)- Integral representations of one-dimensional projections for multivariate stable densities
- Goodness-of-fit tests for symmetric stable distributions-empirical characteristic function approach
- Accurate and efficient numerical calculation of stable densities via optimized quadrature and asymptotics
- Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood
- Efficient estimation of stable Lévy process with symmetric jumps
- Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
- Estimating stable latent factor models by indirect inference
- Modeling and simulation studies for some truncated discrete distributions generated by stable densities
- Joint estimation for SDE driven by locally stable Lévy processes
- Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions
- Remarks on the stable \(S_{\alpha}(\beta, \gamma, \mu)\) distribution
- Point regularity of \(p\)-stable density in \({\mathcal R}^d\) and Fisher information
- Fractional absolute moments of heavy tailed distributions
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- On the instability of symmetric formulas for numerical differentiation and integration
- Asymptotics of maximum likelihood estimation for stable law with continuous parameterization
- On the confidence intervals of parametric functions for Distributions Generated by Symmetric Stable Laws
- Bayesian inversion with α-stable priors
- Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
- Monte-Carlo simulation results in estimating a pure-jump Cox-Ingersoll-Ross process
- LAMN property for stable-Lévy SDEs with constant scale coefficient
- Calibrated FFT-based density approximations for \(\alpha\)-stable distributions
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